Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Professor of Economic Statistics

Via Battisti, 241

Padova, 35121

Italy

SCHOLARLY PAPERS

90

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184

CROSSREF CITATIONS

134

Scholarly Papers (90)

1.
Downloads 12,250 ( 593)
Citation 1

Non-Standard Errors

Journal of Finance Forthcoming
Number of pages: 111 Posted: 23 Nov 2021 Last Revised: 06 Jul 2023
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, The Brattle Group, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, International Monetary Fund (IMF) - Monetary and Capital Markets Department, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin-Milwaukee, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Toronto at Mississauga - Department of Management, Vrije Universiteit Amsterdam, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 12,250 (632)
Citation 3

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non-standard errors, multi-analyst approach, liquidity

2.

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Number of pages: 29 Posted: 05 Feb 2009 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,117 (32,784)
Citation 18

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Conditional correlations, conditional covariances, diagonal models, forecasting, generalized models, Hadamard models, scalar models, targeting

3.

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Number of pages: 19 Posted: 07 Feb 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 659 (67,342)
Citation 7

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Conditional Correlations, Conditional Covariances, Diagonal Models, Forecasting, Generalized Models, Hadamard Models, Scalar models, Targeting

4.

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Number of pages: 50 Posted: 06 Aug 2008 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 563 (82,078)

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multivariate asymmetry, conditional variance, stationarity conditions, asymptotic theory, multivariate news impact curve

5.

The Ten Commandments for Managing Investments

Number of pages: 6 Posted: 18 Feb 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 535 (87,440)
Citation 9

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Ten Commandments, managing investments, investment rules, risk management, financial advisers, portfolio diversification

6.

A Generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation

University Ca' Foscari of Venice Economics Research Paper No. 53/06
Number of pages: 21 Posted: 30 Nov 2006
Monica Billio, Monica Billio and Massimiliano Caporin
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 516 (91,659)
Citation 12

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Dynamic correlations, Block-structures, Flexible correlation models

7.

Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Forthcoming, Journal of Financial Econometrics
Number of pages: 45 Posted: 05 Mar 2007 Last Revised: 29 Oct 2012
Maria Kasch and Massimiliano Caporin
University of Mannheim - Department of Finance and University of Padua - Department of Statistical Sciences
Downloads 453 (106,973)
Citation 4

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Dynamic Correlations, Volatility Thresholds, Comovement, Contagion

8.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Joint Research Center of the European Commission and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 451 (107,509)
Citation 11

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CAPM, volatility, network, interconnections, systematic risk

9.

A Scientific Classification of Volatility Models

Number of pages: 7 Posted: 10 Dec 2008 Last Revised: 24 Mar 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 446 (108,912)

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Volatility, taxonomy, GARCH, stochastic volatility, realized volatility

10.

Ranking Multivariate GARCH Models by Problem Dimension

Number of pages: 107 Posted: 09 May 2010 Last Revised: 16 Oct 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 423 (115,831)
Citation 15

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Covariance forecasting, model confidence set, model ranking, MGARCH, model comparison

11.

On the Predictability of Stock Prices: A Case for High and Low Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 18 Jun 2011 Last Revised: 15 Jun 2013
Massimiliano Caporin, Angelo Ranaldo and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of St. Gallen and Luiss University of Rome
Downloads 387 (128,365)
Citation 2

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high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis

12.

Model Selection and Testing of Conditional and Stochastic Volatility Models

Number of pages: 30 Posted: 14 Sep 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 381 (130,720)
Citation 3

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Volatility Model Selection, Volatility Model Comparison, Non-Nested Models, Model Confidence Set, Value-At-Risk Forecasts, Asymmetry, Leverage

13.

Market Volatility, Optimal Portfolios and Naive Asset Allocations

Ca Foscari University of Venice Working Paper No. 08/WP/2012
Number of pages: 18 Posted: 10 Jul 2012 Last Revised: 03 Oct 2012
Massimiliano Caporin and Loriana Pelizzon
University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 380 (131,097)

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mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

14.

Systemic Co-Jumps

SAFE Working Paper No. 149
Number of pages: 49 Posted: 15 Oct 2016
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and ESSEC Business School
Downloads 379 (131,498)
Citation 13

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Jumps, Return predictability, Systemic events, Variance Risk Premium

Networks in Risk Spillovers: A Multivariate GARCH Perspective

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 03/WP/ 2016
Number of pages: 52 Posted: 04 Mar 2016
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 199 (252,135)
Citation 4

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spatial GARCH, network, risk spillover, financial spillover

Networks in Risk Spillovers: A Multivariate GARCH Perspective

SAFE Working Paper No. 225
Number of pages: 86 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 172 (287,236)
Citation 4

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spatial GARCH; network; risk spillover; financial spillover

16.
Downloads 354 (141,797)
Citation 33

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 176 (281,508)
Citation 15

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Sovereign Risk, Contagion, Disintegration

Measuring Sovereign Contagion in Europe

Number of pages: 246 Posted: 17 Mar 2012 Last Revised: 13 Mar 2014
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 146 (329,958)
Citation 4

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Sovereign Risk, Contagion

Measuring Sovereign Contagion in Europe

NBER Working Paper No. w18741
Number of pages: 58 Posted: 16 Sep 2020 Last Revised: 18 Mar 2023
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 32 (772,992)
Citation 16

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17.

Dynamic Principal Components: A New Class of Multivariate GARCH Models

Number of pages: 84 Posted: 04 Feb 2015
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 340 (148,127)
Citation 3

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Spectral Decomposition, Principal Component Analysis, Orthogonal GARCH, Scalar BEKK, DCC, Multivariate GARCH, Two-step Estimation

18.

On the Evaluation of Marginal Expected Shortfall

Number of pages: 7 Posted: 17 Oct 2010
Massimiliano Caporin and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences and Luiss University of Rome
Downloads 337 (149,496)
Citation 1

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Marginal Expected Shortfall, Log-Returns, Systemic Risk

19.

Block Structure Multivariate Stochastic Volatility Models

Number of pages: 35 Posted: 18 Dec 2009
Manabu Asai, Massimiliano Caporin and Michael McAleer
Soka University - Faculty of Economics, University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 332 (151,863)
Citation 8

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block structures; multivariate stochastic volatility; curse of dimensionality

20.

Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model

Number of pages: 30 Posted: 12 Oct 2008 Last Revised: 15 Jun 2013
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 328 (153,832)
Citation 18

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realized volatility, forecasting, Value-at-Risk, Wishart

21.
Downloads 318 (159,057)
Citation 1

ESG Risk Exposure: A Tale of Two Tails

Number of pages: 47 Posted: 06 May 2022 Last Revised: 13 Dec 2022
Runfeng Yang, Massimiliano Caporin and Juan-Angel Jiménez-Martin
Universidad Complutense de Madrid (UCM) - Instituto Complutense de Análisis Económico | ICAE, University of Padua - Department of Statistical Sciences and Complutense University of Madrid
Downloads 276 (183,472)

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ESG, ESG Risk Factor, Fama/MacBeth Risk Factor, Quantile Regression, CoVaR, ESG Sentiment

ESG Risk Exposure: A Tale of Two Tails

Number of pages: 67 Posted: 05 May 2023
Runfeng Yang, Massimiliano Caporin and Juan-Angel Jiménez-Martin
Universidad Complutense de Madrid (UCM) - Instituto Complutense de Análisis Económico | ICAE, University of Padua - Department of Statistical Sciences and Complutense University of Madrid
Downloads 42 (699,699)

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ESG, ESG Risk Factor, Fama/MacBeth Risk Factor, Quantile Regression, Co-

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 194 (257,896)
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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

SAFE Working Paper No. 276
Number of pages: 51 Posted: 14 May 2020 Last Revised: 21 Dec 2021
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 120 (384,397)
Citation 3

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Sovereign credit risk, Monetary policy, Quantitative easing, Mundellian trilemma, Comovement

23.

Ensemble Properties of High Frequency Data and Intraday Trading Rules

Number of pages: 27 Posted: 09 Feb 2012 Last Revised: 18 Jul 2013
University of Padua, Prime Minister's Office, University of Padua - Department of Statistical Sciences, University of Padua and University of Padua
Downloads 295 (172,101)
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time series ensemble, trading rule, long memory

24.

Precious Metals under the Microscope: A High-Frequency Analysis

University of St. Gallen, School of Finance Research Paper No. 2014/9, Forthcoming in Quantitative Finance
Number of pages: 30 Posted: 13 May 2013 Last Revised: 23 Jun 2014
Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Padua - Department of Economics
Downloads 282 (180,412)
Citation 3

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precious metals, high-frequency data, liquidity, commonality in liquidity, intradaily periodicity

25.

Comparing and Selecting Performance Measures for Ranking Assets

Number of pages: 35 Posted: 22 Apr 2009 Last Revised: 29 Jun 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 282 (180,412)
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performance measurement, rank correlations, selecting performance measures, comparing performance measures, combining performance measures

26.

The Evolution of Shadow Banking System in Emerging Economies: The Role of Entrusted Loans in China’s Capital Market

Number of pages: 41 Posted: 29 May 2018
Mayank Gupta and Massimiliano Caporin
Cass Business School City University London and University of Padua - Department of Statistical Sciences
Downloads 236 (215,214)

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China, Shadow Banking, Banks, Stress Tests, Off-Balance Sheet Investment Vehicles

27.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
Massimiliano Caporin, Frans de Roon and Loriana Pelizzon
University of Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 233 (217,925)

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mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

28.

Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options

Number of pages: 38 Posted: 30 Sep 2010
Massimiliano Caporin, Juliusz Pres and Hipòlit Torró
University of Padua - Department of Statistical Sciences, Szczecin University of Technology and University of Valencia
Downloads 229 (221,593)
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weather derivatives, Quanto options pricing, derivative pricing, model simulation and forecast

29.

Equity and CDS Sector Indices: Dynamic Models and Risk Hedging

Number of pages: 27 Posted: 03 Jun 2012
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 219 (231,217)

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optimal hedge ratios, equity risk hedging, bond risk, CDS index, VIX index, economic sectors

30.

Market Linkages, Variance Spillovers and Correlation Stability: Empirical Evidences of Financial Contagion

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18-07
Number of pages: 103 Posted: 09 Oct 2007
Monica Billio, Monica Billio and Massimiliano Caporin
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 215 (235,189)
Citation 1

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Financial market contagion, Market linkages, Variance spillovers, Dynamic correlations, Rolling correlations, Transformed correlations

31.

On the (Ab)Use of Omega?

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 02/WP/2015
Number of pages: 73 Posted: 03 Feb 2015 Last Revised: 12 Jul 2016
University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 209 (241,349)
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Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance

Comparing and Selecting Performance Measures Using Rank Correlations

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 5, 2011-10
Number of pages: 36 Posted: 15 Dec 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 110 (409,869)
Citation 1

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performance measurement, rank correlations, comparing performance measures

Comparing and Selecting Performance Measures Using Rank Correlations

Economics Discussion Paper No. 2011-14
Number of pages: 31 Posted: 08 Jun 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 89 (474,064)
Citation 1

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performance measurement, rank correlations, comparing performance measures

33.

Structured Multivariate Volatility Models

Number of pages: 39 Posted: 21 Dec 2008 Last Revised: 29 Jun 2009
Massimiliano Caporin, Paolo Paruolo and Paolo Paruolo
University of Padua - Department of Statistical Sciences and Joint Research Center of the European CommissionEuropean Commission DG Joint Research Centre
Downloads 197 (254,785)
Citation 3

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MGARCH, Stochastic Volatility, Realized Volatility, Spatial models, ANOVA

34.

Estimation and Model-Based Combination of Causality Networks

SAFE Working Paper No. 165
Number of pages: 95 Posted: 02 Feb 2017
Giovanni Bonaccolto, Massimiliano Caporin and Roberto Panzica
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and Joint Research Center of the European Commission
Downloads 195 (257,112)

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Granger Causality, Quantile Causality, Multi-Layer Network, Network Combination

35.

Memory Time-Varying Models for Weather Derivative Pricing

Number of pages: 61 Posted: 05 Jan 2009 Last Revised: 16 Dec 2009
Massimiliano Caporin and Juliusz Pres
University of Padua - Department of Statistical Sciences and Szczecin University of Technology
Downloads 193 (259,445)

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weather derivatives, long memory, time-varying long memory, derivative pricing, model simulation and forecast

36.

CDS Industrial Sector Indices, Credit and Liquidity Risk

Ca’ Foscari University of Venice Working Paper No. 09/WP/2012
Number of pages: 26 Posted: 10 Jul 2012
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 191 (261,943)
Citation 2

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credit risk, common factors, liquidity risk

37.

Modelling and Forecasting Wind Speed Intensity for Weather Risk Management

Number of pages: 37 Posted: 09 Dec 2009 Last Revised: 17 Dec 2009
Massimiliano Caporin and Juliusz Pres
University of Padua - Department of Statistical Sciences and Szczecin University of Technology
Downloads 189 (264,453)
Citation 4

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Gamma Auto Regressive, Auto Regressive Gamma, ARFIMA-FIGARCH, wind speed modeling, wind speed simulation

38.

Methodological Aspects of Time Series Back-Calculation

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 56/06
Number of pages: 17 Posted: 12 Dec 2006
Massimiliano Caporin and Domenico Sartore
University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 182 (273,435)
Citation 8

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benchmarking, retropolation, historical reconstruction, back-forecasting, missing past values, aggregation, disaggregation

39.

Proximity-Structured Multivariate Volatility Models

Number of pages: 30 Posted: 21 May 2009 Last Revised: 14 May 2013
Massimiliano Caporin, Paolo Paruolo and Paolo Paruolo
University of Padua - Department of Statistical Sciences and Joint Research Center of the European CommissionEuropean Commission DG Joint Research Centre
Downloads 176 (281,578)
Citation 5

Abstract:

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MGARCH, Stochastic Volatility, Realized Volatility, spatial models, ANOVA

40.

On the Role of Risk in the Morningstar Rating for Mutual Funds

Number of pages: 24 Posted: 22 May 2009 Last Revised: 12 Oct 2009
Francesco Lisi and Massimiliano Caporin
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 166 (295,975)

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Rater agreement, beta-equivalence, mutual funds, Morningstar rating

41.

Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test

SAFE Working Paper No. 324, Energy Economics, Vol. 111, 2022
Number of pages: 33 Posted: 14 Oct 2021 Last Revised: 21 Jun 2022
Massimiliano Caporin and Michele Costola
University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 165 (297,582)

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Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19

42.

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Number of pages: 72 Posted: 09 Oct 2013 Last Revised: 23 Oct 2013
University of Padua - Department of Statistical Sciences, Complutense University of Madrid and Universidad Rey Juan Carlos
Downloads 164 (299,070)

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Multivariate GARCH, conditional correlations, currency futures, optimal hedge ratios, hedging strategies.

43.

Conditional Jumps in Volatility and Their Economic Determinants

Number of pages: 42 Posted: 09 Sep 2011
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Luiss University of Rome
Downloads 161 (303,717)
Citation 8

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volatility, jumps in volatility, realized range, HAR

44.

Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil

SAFE Working Paper No. 172
Number of pages: 56 Posted: 14 Jun 2017 Last Revised: 10 Nov 2017
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice and Drexel University - Lebow College of Business
Downloads 158 (308,528)

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Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies

45.

Multi-Jumps

Number of pages: 63 Posted: 30 Aug 2014
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and ESSEC Business School
Downloads 156 (311,892)
Citation 1

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multi-jumps, co-jumps, price jumps, multivariate jumps, jumps testing

46.

Realized Range Volatility Forecasting: Dynamic Features and Predictive Variables

Number of pages: 32 Posted: 09 Sep 2013
Massimiliano Caporin and Gabriel G. Velo
University of Padua - Department of Statistical Sciences and University of Padua - Department of Economics
Downloads 153 (317,157)

Abstract:

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Realized Range Volatility, Long-memory, Volatility forecasting, Macroeconomic variables

47.

The Cross-Section of Expected Jumps in Equity Returns

Number of pages: 34 Posted: 29 Aug 2018 Last Revised: 04 Sep 2019
Massimiliano Caporin, Walter Distaso and Nancy Zambon
University of Padua - Department of Statistical Sciences, Imperial College Business School and University of Padua - Department of Economics
Downloads 150 (322,377)

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jumps, equity returns, risk premia

48.

Estimating Financial Networks by Realized Interdependencies: A Restricted Autoregressive Approach

Number of pages: 42 Posted: 09 Apr 2021
Massimiliano Caporin, Deniz Erdemlioglu and Stefano Nasini
University of Padua - Department of Statistical Sciences, IESEG School of Management, Department of Finance, LEM-CNRS 9221, France and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 145 (331,256)

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Financial networks, Financial interconnectedness, High-dimensional VARs, Realized volatility, Stock market, High-frequency data

49.

Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19-07
Number of pages: 32 Posted: 09 Oct 2007
Monica Billio, Monica Billio, Massimiliano Caporin and Guido Cazzavillan
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 145 (331,256)

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Business cycle, Chronology, Historical reconstruction, Monthly GDP

50.

Measuring the Climate Transition Risk Spillover

Number of pages: 52 Posted: 04 Jan 2023
Runfeng Yang, Massimiliano Caporin and Juan-Angel Jiménez-Martin
Universidad Complutense de Madrid (UCM) - Instituto Complutense de Análisis Económico | ICAE, University of Padua - Department of Statistical Sciences and Complutense University of Madrid
Downloads 144 (333,040)

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Climate Risk, Carbon Risk Premium, Quantile Regression, Risk Spillover

51.

Asset Allocation Strategies Based on Penalized Quantile Regression

Number of pages: 34 Posted: 03 Jul 2015
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 142 (336,776)
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Quantile regression, l1-norm penalty, pessimistic asset allocation

52.

A Conditional CAPM Model with Local Covariates for Detecting and Evaluating Active Management

Number of pages: 31 Posted: 27 Sep 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 137 (346,355)

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conditional CAPM, time-varying parameters, local covariates, mutual funds

53.

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Number of pages: 55 Posted: 13 May 2011
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 134 (352,366)
Citation 4

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dynamic conditional correlations, time series clustering, multivariate GARCH, composite likelihood

54.

The Long-Run Oil-Natural Gas Price Relationship and the Shale Gas Revolution

Number of pages: 24 Posted: 15 Jul 2015
Massimiliano Caporin and Fulvio Fontini
University of Padua - Department of Statistical Sciences and University of Padova - Department of Economics and Management "Marco Fanno"
Downloads 133 (354,385)
Citation 2

Abstract:

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Shale Gas, Natural Gas, Crude Oil, Cointegration, Vector Error Correction Models

55.

Risk Spillovers in International Equity Portfolios

Number of pages: 32 Posted: 17 Jul 2011 Last Revised: 11 Mar 2012
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 133 (354,385)

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Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution

56.

The Value of Protecting Venice from the Acqua Alta Phenomenon Under Different Local Sea Level Rises

Number of pages: 20 Posted: 20 Feb 2014
Massimiliano Caporin and Fulvio Fontini
University of Padua - Department of Statistical Sciences and University of Padova - Department of Economics and Management "Marco Fanno"
Downloads 123 (375,768)
Citation 2

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Acqua Alta, Local Sea Level Rise, Cost-Benefit

57.

Decomposing and Backtesting a Flexible Specification for CoVaR

Number of pages: 44 Posted: 05 Dec 2017
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 121 (380,455)
Citation 4

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

58.

Modeling and Forecasting Realized Range Volatility

Marco Fanno Working Paper No. 128-2011
Number of pages: 10 Posted: 06 Feb 2011
Massimiliano Caporin and Gabriel G. Velo
University of Padua - Department of Statistical Sciences and University of Padua - Department of Economics
Downloads 115 (394,637)
Citation 1

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Statistical analysis of financial data, Econometrics, Forecasting methods, Time series analysis, Realized Range Volatility, Realized Volatility, Long-memory, Volatility forecasting

59.

Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500

Number of pages: 45 Posted: 02 Oct 2014
Massimiliano Caporin, Luca Corazzini and Michele Costola
University of Padua - Department of Statistical Sciences, University of Padua - Department of Economics and Ca' Foscari University of Venice
Downloads 105 (421,212)
Citation 1

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investment decision, behavioral agents, mixture model, behavioral expectations

60.

Chasing Volatility: A Persistent Multiplicative Error Model with Jumps

Number of pages: 50 Posted: 30 Aug 2014
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Luiss University of Rome
Downloads 105 (421,212)
Citation 3

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Multiplicative Error Model with Jumps, Jumps in volatility, Realized measures, Volatility-at-Risk

61.

Time-Varying Persistence in US Inflation

Number of pages: 20 Posted: 09 Oct 2014
Massimiliano Caporin and Rangan Gupta
University of Padua - Department of Statistical Sciences and University of Pretoria - Department of Economics
Downloads 97 (444,748)

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Persistence, US Inflation Rate, Time-Varying Long Memory

62.

Do Jumps Matter in Realized Volatility Modeling and Forecasting? Empirical Evidence and a New Model

Number of pages: 103 Posted: 06 Aug 2020
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 94 (453,997)
Citation 2

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jumps, staleness, HAR, forecasting, Realized Volatility

63.

A Forecast Based Comparison of Restricted Realized Covariance Models

Number of pages: 35 Posted: 24 Feb 2010
Massimiliano Caporin, Angelo Ranaldo and Matteo Bonato
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Johannesburg - Department of Economics and Econometrics
Downloads 93 (457,163)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

64.

Backward/Forward Optimal Combination of Performance Measures for Equity Screening

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13
Number of pages: 31 Posted: 29 Jul 2012
Monica Billio, Monica Billio, Massimiliano Caporin and Michele Costola
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 92 (460,361)
Citation 3

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performance measures, combining performance measures, portfolio

65.

Estimating Time-Varying Networks With a State-Space Model

Number of pages: 34 Posted: 08 Feb 2021
Shaowen Liu, Massimiliano Caporin and Sandra Paterlini
University of Padova - Department of Statistical Sciences, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 83 (490,399)
Citation 1

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state-space mode, dynamic network, spatial dependence, sequential fiters

66.

Modelling and Forecasting the Realized Range Conditional Quantiles

Number of pages: 42 Posted: 12 Oct 2014
Giovanni Bonaccolto and Massimiliano Caporin
University "Kore" of Enna and University of Padua - Department of Statistical Sciences
Downloads 83 (490,399)
Citation 1

Abstract:

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Realized Range Volatility, Quantile regression, Volatility quantiles forecasting

67.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Monica Billio, Massimiliano Caporin and Michele Costola
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 80 (501,253)

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performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution

68.

On the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis

Number of pages: 33 Posted: 17 May 2022
Giovanni Bonaccolto and Massimiliano Caporin
Kore University of Enna - School of Economics and Law and University of Padua - Department of Statistical Sciences
Downloads 76 (516,303)

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principal component analysis, dynamic principal component GARCH, risk factors, principal components ordering

69.

Fast Clustering of GARCH Processes Via Gaussian Mixture Models

Number of pages: 28 Posted: 03 Jun 2012
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 75 (520,153)

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Gaussian Mixtures, financial time series clustering, Multivariate GARCH, block structures

70.

Analytical Gradients of Dynamic Conditional Correlation models

Number of pages: 15 Posted: 22 Jan 2011 Last Revised: 14 Jun 2011
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 70 (540,471)

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DCC, cDCC, analytical gradient

71.

Misspecification Tests for Periodic Long Memory GARCH Models

Number of pages: 19 Posted: 06 Aug 2008
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 70 (540,471)

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Long Memory, Generalized Long Memory GARCH models, PLM- GARCH models, misspecification tests

72.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2015
Number of pages: 37 Posted: 17 Jun 2015
Michele Costola and Massimiliano Caporin
Ca' Foscari University of Venice and University of Padua - Department of Statistical Sciences
Downloads 66 (557,581)

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learner agent, investment decision, behavioral agents, Bayesian updating

73.

Asymmetry and Uncertainty Across Energy and FX Markets

Number of pages: 33 Posted: 11 Nov 2014
Ahmed A.A. Khalifa, Massimiliano Caporin and Shawkat M. Hammoudeh
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences and Drexel University - Lebow College of Business
Downloads 63 (571,100)

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Asymmetry, Interdependence, Uncertainty, Business cycle, Energy, FX

74.

Impact of COVID-19 on Financial Returns: A Spatial Dynamic Panel Data Model with Random Effects

Number of pages: 21 Posted: 22 Dec 2021
Anna Gloria Billé and Massimiliano Caporin
University of Padua and University of Padua - Department of Statistical Sciences
Downloads 54 (614,890)

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COVID-19, Financial crisis, Spatio-temporal modeling

75.

Option Pricing with Anomalous Scaling and Infinite-State Switching Volatility

Number of pages: 53 Posted: 03 Jun 2013
University of Padua, University of Padua - Department of Statistical Sciences, University of Padua, University of Padua and Human Genetics Foundation
Downloads 52 (625,409)
Citation 1

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option pricing, anomalous scaling, Markov switching, GARCH

76.

The Systemic Risk of Us Oil and Natural Gas Companies

Number of pages: 41 Posted: 08 Jul 2022 Last Revised: 05 May 2023
Massimiliano Caporin, Fulvio Fontini and Roberto Panzica
University of Padua - Department of Statistical Sciences, University of Padova - Department of Economics and Management "Marco Fanno" and Joint Research Center of the European Commission
Downloads 44 (670,724)
Citation 1

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Systemic risk, Oil and Natural Gas, Fossil Fuel, Energy J.E.L. classification: Q43, Q40, G10, C21, C58

77.

Price Convergence within and between the Italian Electricity Day-Ahead and Dispatching Services Markets

Number of pages: 48 Posted: 11 Feb 2018
Massimiliano Caporin, Fulvio Fontini and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of Padova - Department of Economics and Management "Marco Fanno" and Luiss University of Rome
Downloads 41 (689,429)

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zonal prices, convergence between zones, convergence within zones, fractional cointegration, long-run equilibrium

78.

The Factor Structure of Exchange Rates Volatility: Global and Intermittent Factors

Number of pages: 15 Posted: 14 Dec 2022
University of Padua - Department of Statistical Sciences, Aarhus University - CREATES and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 37 (715,894)

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Long-memory, Multi-level Dynamic Factor Model, Realized Volatility

79.

Not All Words are Equal: Sentiment and Jumps in the Cryptocurrency Market

Number of pages: 53 Posted: 16 May 2023
Oguzhan Cepni, Ahmet Faruk Aysan and Massimiliano Caporin
University of Colorado Boulder, Hamad Bin Khalifa University - Center for Islamic Economics and Finance and University of Padua - Department of Statistical Sciences
Downloads 33 (751,526)

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Cryptocurrency, jumps, jump spillover, logistic regression, news content

80.

Monitoring Financial Stress Spillovers with High-Frequency Principal Components

Number of pages: 37 Posted: 26 May 2022
Complutense University of Madrid, University of Padua - Department of Statistical Sciences and affiliation not provided to SSRN
Downloads 33 (744,128)

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High-frequency, Principal components, financial system, systemic risk

81.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices (Web Appendix)

Number of pages: 35 Posted: 07 Nov 2015
Michele Costola and Massimiliano Caporin
Ca' Foscari University of Venice and University of Padua - Department of Statistical Sciences
Downloads 32 (751,526)

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combining performance measures, portfolio allocation, learning agent process

82.

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

Number of pages: 49 Posted: 20 Dec 2021
Loriana Pelizzon, Massimiliano Caporin and Alberto Plazzi
Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Padua - Department of Statistical Sciences and Universita' della Svizzera italiana
Downloads 31 (759,108)

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Sovereign credit risk, Monetary Policy, Quantitative easing, Mundellian trilemma, Comovement

83.

The Asymmetric Relationship between Conventional/Shale Rig Counts and Wti Oil Prices

Number of pages: 46 Posted: 07 Jan 2022
Fulvio Fontini, Massimiliano Caporin and Rocco Romaniello
University of Padova - Department of Economics and Management "Marco Fanno", University of Padua - Department of Statistical Sciences and affiliation not provided to SSRN
Downloads 26 (798,231)

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shale rig count, conventional rig count, drilling trajectory, WTI price, VAR, Impulse Response Function

84.

Sign Effects of Volatility and Jumps in Forex Markets and a Reappraisal of Meteor Showers and Heat Waves

Number of pages: 47 Posted: 22 Nov 2022
Massimiliano Caporin and Syed Jawad Hussain Shahzad
University of Padua - Department of Statistical Sciences and Montpellier Business School
Downloads 22 (832,298)

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Forex markets, good and bad volatility, signed jumps, meteor showers, heat waves

85.

Chasing the Non-Linear ESG Factor

Number of pages: 49 Posted: 22 Jul 2023
Juan-Angel Jiménez-Martin, Massimiliano Caporin and Runfeng Yang
Complutense University of Madrid, University of Padua - Department of Statistical Sciences and Universidad Complutense de Madrid (UCM) - Instituto Complutense de Análisis Económico | ICAE
Downloads 20 (850,226)

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ESG, ESG Factor, Factor Model, Fama/MacBeth Cross-section

86.

Omega Compatibility: A Meta-Analysis

Number of pages: 37 Posted: 08 Feb 2023
Carole Bernard, Massimiliano Caporin, Bertrand B. Maillet and Xiang Zhang
Grenoble Ecole de Management, University of Padua - Department of Statistical Sciences, EMLyon Business School (Paris Campus) and School of Finance/Institute of Big Data, Southwestern University of Finance and Economics
Downloads 15 (897,179)

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Second-order Stochastic Dominance, Omega Ratio, Performance Measurement

87.

Cross-Company Jump Spillover and the Role of News

Number of pages: 130 Posted: 14 Apr 2023
Francesco Poli and Massimiliano Caporin
University of Padua and University of Padua - Department of Statistical Sciences
Downloads 14 (906,888)

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price jumps, spillover jumps, economic sectors, volatility persistence, newsdata

88.

How Does Climate Change Affect Bank Credit?

Number of pages: 18 Posted: 09 Sep 2023
University of Padua - Department of Statistical Sciences, Embassy of Sri Lanka, Oslo, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 8 (964,272)

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bank credit, climate change, CO2 emissions, biocapacity

89.

Evaluating Value-at-Risk Measures in Presence of Long Memory Conditional Volatility

Journal of Risk, Vol. 10, No. 3, 2008
Posted: 29 Dec 2008
Massimiliano Caporin
University of Padua - Department of Statistical Sciences

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long memory, Value-at-Risk, loss functions, capital charges

90.

Dynamic Asymmetric Garch

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 385-412, 2006
Posted: 29 Feb 2008
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute

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asymmetric volatility, DAGARCH, stationarity conditions, threshold GARCH